论文信息 - European Call Option Pricing using the Adomian Decomposition Method

European Call Option Pricing using the Adomian Decomposition Method

This article explores the Adomian decomposition method applied to the pricing of European call options in a risk-neutral world with an asset that pays and one that does not pay dividends. A brief introduction to existing methods of pricing, a numerical solution of the Black–Scholes equation, a construction of a payoff function consistent with the method, and finally some numerical results for a hypothetical experiment are given. AMS Subject Classifications: 91G20, 91G30.

M. Bohner | F. H. M. Sanchez

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